Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0573 |
| Annualized Std Dev | 0.2525 |
| Annualized Sharpe (Rf=0%) | -0.2269 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3324.0000 |
| NAs | 1.0000 |
| Minimum | -0.1313 |
| Quartile 1 | -0.0065 |
| Median | 0.0002 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1287 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0003 |
| Stdev | 0.0159 |
| Skewness | -0.6606 |
| Kurtosis | 10.3815 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0109 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.7461 |
| Historical VaR (95%) | -0.0236 |
| Historical ES (95%) | -0.0404 |
| Modified VaR (95%) | -0.0258 |
| Modified ES (95%) | -0.0557 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-07 | 2020-03-23 | NA | -0.7461 | 3267 | 3016 | NA |
| 2007-08-28 | 2007-09-10 | 2007-09-18 | -0.0625 | 15 | 9 | 6 |
| 2007-10-01 | 2007-10-04 | 2007-10-15 | -0.0515 | 11 | 4 | 7 |
| 2007-10-16 | 2007-10-22 | 2007-10-25 | -0.0446 | 8 | 5 | 3 |
| 2007-08-16 | 2007-08-16 | 2007-08-22 | -0.0418 | 5 | 1 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | 1.6 | -1.5 | -1.8 | 0.3 | -0.9 | -2.4 |
| 2008 | 1.8 | -2.9 | 1 | 0 | 0.8 | 0.3 | -1.7 | 0.2 | -2 | 0.4 | -5.9 | 3.9 | -4.5 |
| 2009 | -2 | -0.4 | 1.7 | 3.8 | 2.5 | 0.6 | 0.5 | -2.3 | -3.4 | -3.6 | 2.2 | -0.6 | -1.3 |
| 2010 | 2.2 | 1.5 | 2.7 | -0.4 | -2 | -0.1 | 0.1 | 3.1 | 1 | 0 | 3.2 | 0.1 | 11.8 |
| 2011 | 3 | -0.7 | 0.7 | 0.5 | -1.2 | 1.5 | 0 | -1.6 | -1.8 | -3.8 | -0.2 | 0.5 | -3.3 |
| 2012 | 1.1 | 0.4 | -0.1 | -0.4 | -2.6 | 3.4 | -2 | 0.4 | -0.2 | -0.9 | -1 | 1.5 | -0.6 |
| 2013 | 0.6 | 0.1 | -1.6 | -1.2 | -0.9 | 1.7 | 1 | 0.2 | 0.6 | -0.2 | 2.2 | 0.3 | 2.8 |
| 2014 | -0.9 | 1.2 | 0.2 | 1 | 0.5 | -0.2 | -0.2 | 0.4 | -0.8 | 1.5 | 0.3 | -1.6 | 1.3 |
| 2015 | -1.9 | -0.2 | 0 | 0.2 | 0.8 | 0 | 1 | -3.5 | -1.4 | 0.2 | 1.3 | -1.1 | -4.5 |
| 2016 | 0.4 | 0.1 | -1.2 | 0.3 | 0.6 | 0.7 | 0.3 | -0.2 | -1 | 1 | -1.5 | -0.1 | -0.5 |
| 2017 | -1.5 | 0.2 | -0.7 | -0.8 | 1.1 | -0.2 | 0.5 | -0.9 | -0.7 | -0.2 | -0.5 | 0.5 | -3 |
| 2018 | -0.5 | -0.2 | 0.7 | -0.6 | -0.5 | 0.3 | -0.6 | 0.1 | -0.5 | 0.1 | -0.2 | 0.4 | -1.4 |
| 2019 | -1 | 0.1 | 0.2 | -0.9 | 0.3 | 0.2 | -0.8 | 0.2 | -0.2 | 0.3 | -0.1 | 0.4 | -1.3 |
| 2020 | -1.1 | -2.7 | -4.3 | -2.3 | 1.3 | 1.1 | -0.2 | -0.8 | 0.7 | -0.8 | 0.5 | 0.1 | -8.1 |
| 2021 | 1.2 | 1.7 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-08-15 113. SPY 141. -0.0138 -0.0587 -0.0886 -0.0697 0.110 0.316 0.585 GLD 66.1 -0.00240 -0.00960
2 2007-08-16 109. SPY 142. 0.0075 -0.0226 -0.0801 -0.0608 0.105 0.312 0.541 GLD 64.7 -0.0219 -0.0119
3 2007-08-17 109. SPY 145. 0.0184 0 -0.0668 -0.0518 0.115 0.329 0.548 GLD 65.0 0.0051 -0.0234
4 2007-08-20 111. SPY 145. -0.0005 -0.0041 -0.0577 -0.0518 0.112 0.315 0.552 GLD 65.1 0.0017 -0.0172
5 2007-08-21 111. SPY 145. 0.002 0.0134 -0.0587 -0.0491 0.109 0.321 0.519 GLD 65.1 -0.0008 -0.0184
6 2007-08-22 114. SPY 147. 0.0119 0.0398 -0.0307 -0.038 0.127 0.327 0.554 GLD 65.4 0.0051 -0.011
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
